Post the action. I lot depends on which save feature you used and how the save step was recorded.

When you record a step like "Save as..." you want to select the directory you want to save the file in. However you do not want to change the file name field in any way. You can use the file tpe pull down menu to select a file type like Jpeg. When that step is played back the current documents filename will be used during the save. If while recording the step you made and change to the filename field that filename will be recorded into the action. When that save step is played it will alway want to save the file into the filename that was recorded into the action.

Sorry, i don't quite understand your question. Not much can be done about the fact that the Actions panel also records the filename used in the SFW dialog but i know that this isn't the case anymore with CS4/5 which record only the folder used